#2243. Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets

September 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

The title of the journal is available only for the authors who have already paid for
Journal’s subject area:
Finance;
Economics and Econometrics;
Accounting;
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Abstract:
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their value function, optimal investment policy and Davis option prices to model uncertainty. To achieve this, we capture model uncertainty by replacing the baseline model (Formula presented.) with an adverse choice from a small Wasserstein ball around (Formula presented.) in the space of probability measures. Our sensitivities are thus fully non-parametric.
Keywords:
Davis marginal utility price; distributionally robust optimization; model uncertainty; optimal investment; robust finance; sensitivity analysis; Wasserstein distance

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